Related papers: Permanent market impact can be nonlinear
We present a model of price formation in an inelastic market whose dynamics are partially driven by both money flows and their impact on asset prices. The money flow to the market is viewed as an investment policy of outside investors. For…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial instruments, such as derivatives, is an open problem. To…
Individuals are often influenced by the behavior of others, for instance because they wish to obtain the benefits of coordinated actions or infer otherwise inaccessible information. In such situations this social influence decreases the ex…
The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Therefore, it only answers the general question of the optimal…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
A new microeconomic model is presented that aims at a description of the long-term unit sales and price evolution of homogeneous non-durable goods in polypoly markets. It merges the product lifecycle approach with the price dispersion…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
Principal stratification is a framework for making sense of causal effects conditioned on variables that may themselves have been affected by the treatment. For instance, in an evaluation of an educational intervention, some subjects in the…
Formal models of opinion formation commonly represent an individual's opinion by a value on a fixed opinion interval. We propose an alternative modeling method wherein interpretation is only provided to the relative positions of opinions…
This paper introduces a new fixed effects estimator for linear panel data models with clustered time patterns of unobserved heterogeneity. The method avoids non-convex and combinatorial optimization by combining a preliminary consistent…
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price…
Market impact is an important problem faced by large institutional investor and active market participant. In this paper, we rigorously investigate whether price trajectory data from the metaorder increases the efficiency of estimation,…
We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of…
Decisions to pursue higher education are not fully explained by economic incentives, with social influence and peer effects playing a crucial, yet dynamically understudied, role. This paper develops a theoretical non-linear dynamics model…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
We study a policy evaluation problem in centralized markets. We show that the aggregate impact of any marginal reform, the Marginal Policy Effect (MPE), is nonparametrically identified using data from a baseline equilibrium, without…
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…
We develop a general estimation and inference procedure for the common parameters in linear panel data regression models with nonparametric two-way specification of unobserved heterogeneity. The procedure takes as input any first-step…
We consider Geometric Mean Market Makers -- a special type of Decentralized Exchange -- with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices that can create arbitrage opportunities, while arbitrageurs…